Open Access. Powered by Scholars. Published by Universities.®
Social and Behavioral Sciences Commons™
Open Access. Powered by Scholars. Published by Universities.®
Articles 1 - 7 of 7
Full-Text Articles in Social and Behavioral Sciences
Warrants And Their Underlying Stocks: Microstructure Evidence From An Emerging Market, Charlie Charoenwong, David K. Ding, Nuttawat Visaltanachoti
Warrants And Their Underlying Stocks: Microstructure Evidence From An Emerging Market, Charlie Charoenwong, David K. Ding, Nuttawat Visaltanachoti
Research Collection Lee Kong Chian School Of Business
The Stock Exchange of Thailand provides an ideal platform for comparing the trading characteristics of warrants and their underlying stocks since both of them trade in the same market under identical trading rules. If their patterns diverge significantly, it may be possible for an astute trader to devise profitable arbitrage strategies during the life of the warrants. We find that both their patterns are downward-sloping for spreads, U-shaped for flow toxicity, volatility, depth concentration, and trading volume; and upward-sloping for depth and market order flow ratio. This implies that trading under identical market structures leads to similar trading characteristics. We …
Trading Costs On The Stock Exchange Of Thailand, Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang
Trading Costs On The Stock Exchange Of Thailand, Nattawut Jenwittayaroje, Charlie Charoenwong, David K. Ding, Yung Chiang Yang
Research Collection Lee Kong Chian School Of Business
This study examines the components of trading costs incurred in trading large and liquid stocks listed on the Stock Exchange of Thailand. We find that aggressive orders pay an immediacy price measured by price impact, whereas executed passive orders gain the immediacy price. We also find a sizable opportunity cost from the unexecuted portion of a limit order that more than offsets the benefit obtained from the partial fulfillment of the order. The total trading cost, which includes price impact and opportunity cost, is positively related to order size and stock price volatility, but negatively associated with firm size, stock …
Price Movers On The Stock Exchange Of Thailand: Evidence From A Fully Automated Order-Driven Market, Charlie Charoenwong, David K. Ding, Nattawut Jenwittayaroje
Price Movers On The Stock Exchange Of Thailand: Evidence From A Fully Automated Order-Driven Market, Charlie Charoenwong, David K. Ding, Nattawut Jenwittayaroje
Research Collection Lee Kong Chian School Of Business
This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized trades (i.e., larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. This finding compares with the results of studies conducted on U.S. markets that show informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner 1993; Chakravarty …
Liquidity Distribution In The Limit Order Book On The Stock Exchange Of Thailand, Nuttawat Visaltanachoti, Charlie Charoenwong, David K. Ding
Liquidity Distribution In The Limit Order Book On The Stock Exchange Of Thailand, Nuttawat Visaltanachoti, Charlie Charoenwong, David K. Ding
Research Collection Lee Kong Chian School Of Business
The liquidity distribution, or the shape of the limit order book, influences trading behavior and choice of order submission by public liquidity suppliers. The present study seeks to discover whether liquidity providers are concerned about being picked off by informed traders, and whether they are less willing to supply liquidity at the market or demand higher price spreads. The results show that liquidity at the market is a small portion of total liquidity, and that firm size, minimum tick size, volatility, and trading volume play significant roles in determining the liquidity distribution within an order book.
Cross-Cultural Differences In Learning And Education: Stereotypes, Myths And Realities, Gerhard Apfelthaler, Katrin Hansen, Stephan Keuchel, Christa Mueller, Martin Neubauer, Siow-Heng Ong, Nirundon Tapachai
Cross-Cultural Differences In Learning And Education: Stereotypes, Myths And Realities, Gerhard Apfelthaler, Katrin Hansen, Stephan Keuchel, Christa Mueller, Martin Neubauer, Siow-Heng Ong, Nirundon Tapachai
Research Collection Lee Kong Chian School Of Business
Despite the fact that both learning styles and cross-cultural differences have been important research topics for decades, surprisingly little work has been done on comparisons of learning behaviour across cultures and its impact for teachers working in culturally mixed settings. This chapter is based on a research project funded by the European Union seeking to provide fresh knowledge on cross-national differences in attitudes towards learning of students from selected countries. It reports on the results from Austria, Germany, Singapore and Thailand and outlines some of the implications for teaching in higher education.
Spread, Depth, And Order Flow Patterns Of Warrants And Their Underlying Stocks On The Stock Exchange Of Thailand, Charlie Charoenwong, Nuttawat Visaltanachoti, David K. Ding
Spread, Depth, And Order Flow Patterns Of Warrants And Their Underlying Stocks On The Stock Exchange Of Thailand, Charlie Charoenwong, Nuttawat Visaltanachoti, David K. Ding
Research Collection Lee Kong Chian School Of Business
This study compared the trading characteristics of warrants and their underlying stocks. The Stock Exchange of Thailand provided a good platform for comparing the trading characteristics of warrants and their underlying stocks because both these securities are traded in the same market venue and have identical trading rules. Hence, the impact of trading protocol on intraday variation and an informed trader's decision to buy warrants or stocks was controlled. The paper found that they have a similar downward sloping pattern of spreads, adverse selection component, and liquidity immediacy, U-shaped for volatility and trading volume, and upward-sloping for depth and market …
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Research Collection Lee Kong Chian School Of Business
This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM of squares boundaries [used by Inclán and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston (1992) and Bos and Fetherston (1995), uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses …